Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0690 |
| Annualized Std Dev | 0.3268 |
| Annualized Sharpe (Rf=0%) | 0.2110 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3522.0000 |
| NAs | 1.0000 |
| Minimum | -0.1539 |
| Quartile 1 | -0.0088 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0102 |
| Maximum | 0.1927 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0206 |
| Skewness | 0.4704 |
| Kurtosis | 9.8199 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0143 |
| Gain Deviation | 0.0158 |
| Loss Deviation | 0.0150 |
| Downside Deviation (MAR=210%) | 0.0186 |
| Downside Deviation (Rf=0%) | 0.0141 |
| Downside Deviation (0%) | 0.0141 |
| Maximum Drawdown | 0.7235 |
| Historical VaR (95%) | -0.0303 |
| Historical ES (95%) | -0.0479 |
| Modified VaR (95%) | -0.0265 |
| Modified ES (95%) | -0.0265 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-10-27 | 2018-01-05 | -0.7235 | 2563 | 249 | 2314 |
| 2018-01-29 | 2019-01-03 | 2020-09-01 | -0.3371 | 654 | 235 | 419 |
| 2007-07-24 | 2007-08-16 | 2007-08-27 | -0.1682 | 25 | 18 | 7 |
| 2021-02-18 | 2021-03-08 | NA | -0.1613 | 23 | 13 | NA |
| 2007-10-18 | 2007-10-19 | 2007-10-31 | -0.0876 | 10 | 2 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | -0.8 | 0.7 | 1.5 | -0.4 | -2.5 | 3 | 2.7 | -4.7 | 1.1 | -0.3 | 0 |
| 2008 | 4.2 | -2.9 | 6.3 | 1.8 | 0 | -1 | 1.1 | -0.4 | -0.6 | -0.4 | -7.5 | 1.2 | 1.2 |
| 2009 | 1.4 | -1.5 | 2.2 | 0.6 | 4.7 | 1.6 | 0.1 | -2.2 | -3.3 | -3.4 | 3.1 | 0.5 | 3.5 |
| 2010 | 2.8 | 2 | 2.7 | -0.7 | -2.1 | 0.5 | 0.5 | 2.6 | 0.9 | 0.9 | 2.4 | 0.7 | 13.8 |
| 2011 | 1.2 | -0.8 | 0.9 | 0 | -1.5 | 1.1 | -0.3 | -1.2 | -5.7 | -1.3 | -0.1 | 0.1 | -7.6 |
| 2012 | 1.6 | 0.3 | 0.9 | 0.9 | -2.5 | 3.5 | 0.4 | 0.5 | 0.6 | 2.8 | 0.2 | 1.9 | 11.7 |
| 2013 | 0.5 | -0.3 | -1.1 | -1.4 | -1.7 | -0.1 | 2.5 | 0.1 | 1.5 | 0.7 | 0.3 | 1 | 2 |
| 2014 | -0.4 | -0.4 | 1.1 | 0.4 | -0.1 | 0.6 | 0.5 | 0 | -2 | 1.2 | -2.7 | 1.3 | -0.6 |
| 2015 | -2.1 | -0.2 | 1.6 | 0.8 | 1.5 | -0.6 | -0.5 | -4.2 | 0.7 | 0.2 | 0.8 | -0.4 | -2.5 |
| 2016 | -1.4 | 3.5 | -0.3 | -0.9 | -1.1 | 0.6 | 0 | 1 | 0.2 | -0.1 | -0.6 | 0 | 0.9 |
| 2017 | 0 | 1.3 | -0.6 | 0.5 | 1.2 | 0.2 | 0.6 | 0.2 | 1.4 | 0.8 | -1.2 | 0 | 4.6 |
| 2018 | -2.3 | -0.1 | 1.6 | 0.2 | 1.9 | 1.5 | -1.7 | 0.3 | 0.1 | 5 | 1.5 | -0.2 | 7.9 |
| 2019 | -0.5 | 1 | 1.5 | -0.1 | 0.1 | 2 | -3 | 0.1 | -0.5 | 1.7 | -1.8 | 0.3 | 0.5 |
| 2020 | -1.9 | 0.2 | -3.2 | -4.1 | 1.9 | 0.9 | 0 | 2 | 1 | -1.6 | 0.8 | 0.2 | -3.9 |
| 2021 | 2.5 | 2.7 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
